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조우길 한국국제통상학회 2002 국제통상연구 Vol.7 No.2
본 연구는 90년 이후 동북아 국가의 환율의 행태를 실질환율의 조건부 분산으로 측정하고 환율의 행태가 한국 중국 일본 등 동북아 국가의 수출입에 미치는 영향을 단일방정식모형과 VAR모형을 통하여 분석하였다. 검증 결과 90년 이후 동북아 국가들의 환율은 강한 불안정성을 보이는 것으로 나타났으며, 예측오차의 분산분해를 통한 검증 결과 이러한 환율변동의 불안정성은 동북아 국가의 수출입에 지속적으로 부의 영향을 미치는 것으로 나타났다. This paper examines the exchange rate behavior and its impact on the trade flows of North-East Asian countries, Korea, China and Japan, in the context of a single equation and multivariate error-correction models. The major results show that increases in the volatility of the real exchange rate, approximating exchange rate uncertainty, exert a significant negative effect upon their export and import demand in both the short-run and the long-run.
조우길 순천대학교 사회과학연구소 1994 社會科學硏究 Vol.6 No.-
The short-run and long-run forecasts of exchange rates based on the Frenkel-Bilson, Dornbusch-Frankel, Augumented Frenkel-Bilson and Augumented Dornbusch-Frankel models are compared to those based on the random walk model. The shout-run forecasts are genarated by the time-invariant and time-varying parameters, and the long-run predictions are generated by the error-correction equations of the long-memory based on the Johansen's multivariate cointegration methodology. The results show that while the random walk model outperforms the four structural models in the shout-run forecasting, the structural models outperform the random walk in the long-run forecasting. Our results indicate that the monetary models should be thought more of as the long-run models.
조우길 順天大學校 1991 論文集 人文社會科學篇 Vol.10 No.-
Real exchange rate has been at the center of economic policy discussions for the two reasons. First, Does the real exchange rate follow a random walk? Second, which variables are the major causes of the real exchange rate fluctuation? 1) The traditional PPP theory expected exchange rates to be stable in the floating periods as was in the preceding era of fixed rate. From the results of Unit root and Co-integration tests, we found that the long run real exchange rate movements of Canada, Japan, Germany, United Kingdom, France, and Korea are significantly unstable during the floating exchange rate periods. Point estimates indicated that real exchange rates for some countries are convergent. However, all confidence intervals are sufficiently large that the null hypothesis that the real rate follows a random walk cannot be rejected. 2) The theory suggests also that permanant real shocks can induce permanant changes in real exchange rate, monetary shocks, however, may induce temporary changes and are neutral in the long run. Using vector-autoregression and block exogenity test, we found little evidence for such a traditional claims. Contrary to the expectations, the nominal interest rate played an important role in the permanant deviation of the long run real exchange rate, industrial production and relative money supply, however, do not appear to be the causes of the movement of the real exchange rate in the long run. Though these findings of our paper do not coincide with the presumption of the traditional claims, little, unfortunatley, could be known what the major reasons are. We could just attribute these discrepancy to the brief periods of floating exchange rate, deficiency of existing models and difficulty of identifying the real random shocks.